Search Results for: correlation

Cross-Asset Correlation and Global PMI Cross-asset correlations imply there is limited scope for diversification. Image: J.P. Morgan

Correlation of U.S. Bonds to S&P 500 The diversification benefit of bonds could be reduced, as the correlation of U.S. bonds to equities has become less negative. Image: Morgan Stanley Research

Trade Tensions Events and Average Correlation of Assets Tracking China Related Risks This chart shows the risk of renewed US-China trade tensions and market pricing. Image: Goldman Sachs Global Investment Research

Gold’s Last Bull Market and Gold/S&P 500 Correlation During the GFC, the correlation between gold and the S&P 500 was positive. Deutsche Bank suggests that gold could move higher, as investor confidence remains subdued. Image: Deutsche Bank

U.S. Correlation Between GDP and Equity Market This chart shows the correlation between U.S. GDP and U.S. equity market (R² = 0.50). U.S. equity prices suggest U.S. GDP growth of 0.7% YoY in Q3 2020. Image: Deutsche Bank

Correlation Between VIX and MOVE The rolling one-year correlation between VIX and MOVE is at the highest level on record. Image: Arbor Research & Trading LLC

U.S. Asset Correlations and Fed Balance Sheet Trends The correlations between U.S. asset returns and Fed balance sheet growth are generally inconsistent and dimishing over time. Image: J.P. Morgan

Correlation of VIX with U.S. 10-Year TIPS Yields The correlation of the VIX with U.S. 10-year TIPS yields has turned negative, as it was during the dot-com bubble burst, the Great Financial Crisis, the European debt crisis,… Image: Goldman Sachs Global Investment Research

Historical Correlations of Asset Price Returns to Central Bank Net Cuts in Policy Rates The correlation between assets price returns and central bank rate cuts has been higher after the Great Financial Crisis. Image: BofA Merrill Lynch Global Research

Correlation – Euro Equities and Economic Surprise The correlation between euro equities and economic surprise has diverged recently. Image: Oxford Economics